I have 3 different models and I do the Hosmer–Lemeshow test. I have a p-value and a Chi2 value. How can I know which model fits the best my data?
Khi-2 || Pr > Khi-2
12.04 || 0.19
7.47 || 0.71
4.34 || 0.46
Is it the one with the biggest p-value?
$\begingroup$
$\endgroup$
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
2
The Hosmer-Lemeshow test has been replaced by a number of more powerful methods that have been described elsewhere on this site. Use the Search bar to find them.
Model selection is often discouraged, and using goodness-of-fit statistics to select models is especially discouraged. Better would be to carefully specify a model that is as flexible as your sample size will support, fit the model, and stop.
answered Feb 17, 2016 at 16:07
-
$\begingroup$ but could we say that the best model here is the one with the biggest p-value? $\endgroup$ Commented Feb 22, 2016 at 10:52
-
$\begingroup$ Not in the least. Don't use a goodness-of-fit statistic to select a model. Use an accepted optimality criterion, and even there it was intended to be used only when selecting from among 2-3 pre-specified models. In general, model selection is not a great idea. Model specification is. $\endgroup$ Commented Feb 22, 2016 at 12:51